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Risk rewarded
Despite the specter of an Argentinean default, emerging-markets debt delivers surprisingly strong returns.
Despite the specter of an Argentinean default, emerging-markets debt delivers surprisingly strong returns.
由Andrew Capon.
2001年12月
亚博赞助欧冠机构投资者杂志
With Argentina poised on the brink of default, the value of its debt had plummeted 36 percent in 2001 through the end of October. Because the country accounts for a hefty 16 percent of the J.P. Morgan emerging-markets bond index plus, and because the risk of contagion constantly hovers over this sector, institutional investors that want exposure to emerging markets usually prefer equity to debt.
但这种情绪面对一些引人注目的事实。今年在10月底，新兴 - 市场股市下降了20.4％，而他们的债务同行仅次于0.5％ - 尽管阿根廷人的崩溃。差距也不是一次性现象。截至10月31日的十年，全体股权MSCI新兴 - 市场自由指数仅为1.1％，与盟友+的年度返回，一篮子主权和准君主（由国家担保支持）以外部货币发布的债务，通常是美元。即使在过去的五年中，债务超过了一段时间，债务表现优于，每年返回10.5％，与同期股权的总跌幅为67％。
一些资金正在通过余地击败平均线。五年多年来，新兴市场债务基金债务基金，由伦敦的精品蒙彼利尔资产管理运营，已发布16.5％的年度回报和年初增长率为15.7％。新兴 - 市场债券巨头巨型太平洋投资管理公司经营的债务基金今年增长了17.6％。
新兴市场债务的支持者认为，恐惧涉及众所周滞不可多少常;他们还认为，该行业与其他资产类别不相关。怀疑论者召回过去的危机 - 1994年 - 1995年的墨西哥比索危机，1997年的亚洲财经流感，1998年俄罗斯卢布的崩溃 - 并得出结论，在阿根廷或其他地方，几乎保证了新的脱裂。他们说，传染是可信，不断的威胁。
Thomas Cooper表示，拥有波士顿的Grantham，Mayo，Van Otterloo＆Co.的合伙人，他监督了该公司112.25亿美元的新兴市场债务：“在阿根廷债务重组后的蔓延[遵循债务]不会像1995年那样糟糕1998年，但对于市场和其他拉丁美洲学分来说，仍然是一个不好的消息，甚至有些人在东欧可能被击中。曾经有麻烦，市场一起举行。“
Certainly, emerging-markets debt barely registers a blip on the radar screen of institutional investors that buy emerging-markets equity. Even today, as pension funds in the U.S. and U.K. nurse losses on domestic equity portfolios and search for high-return, low-correlation asset classes, emerging-markets debt struggles to find a place in institutional portfolios. (The correlation of the J.P. Morgan EMBI+ with the MSCI Europe, Australasia and Far East index over ten years is -37 percent.)
Bob Collie, director of investment consulting at consulting firm Frank Russell Co. in London, reports that his firm does not consider emerging-markets debt to be a mainstream investment opportunity. "I would describe it as an exotic asset class for a small number of sophisticated pension funds," he says.
But when an emerging-markets crisis hits, argue the advocates of emerging-markets debt, it is much better to be a bondholder than a stockholder.
"The risks of holding equity and bonds are asymmetric in emerging markets," says Mohamed El-Erian, head of emerging-markets bond investment at Pimco. "A crisis usually takes the form of a balance of payments problem. The remedy is to increase interest rates and tax more or spend less. That makes the public sector very strong but impoverishes corporates."
Lincoln Rathnam推出了Smudder，Stevens＆Clark主权高产投资有限公司于1989年回到了第一个投资拉丁美洲债务的共同基金 - 衷心同意。现在，Rathnam表示，作为北康涅狄格州韦斯特波特的私募股市投资策略的私人股市投资战略负责人，“回到1989年，我告诉任何人会倾听债券的人比股票更好，因为他们是各国政府发布的合同义务。“rathnam认为，他们仍然是一个更好的赌注。
There are some technical explanations for the gap between the returns of emerging-markets debt and equity. The universes of countries included in emerging-markets equity and debt indexes, though overlapping, are significantly different. Emerging-markets equity indexes are skewed toward Asia and debt indexes toward Latin America. Debt indexes also include countries such as Bulgaria, Ecuador, Morocco, Nigeria, Panama and Qatar, where equity markets are small or nonexistent.
然而,即使是在股票市场确实存在,还债务tends to outperform. The Russian stock market, for example, is up 15.8 percent in dollars, but the Russian bonds in the EMBI+ are up 36.9 percent in dollars through October.
As a group, debt investors also enjoy more liquidity than their equity counterparts. Says Philip Poole, head of emerging-markets research at ING Barings: "Investors have been prepared to pay a premium for liquidity. Since the Russian default liquidity in equity markets has been reduced sharply. That hasn't been true for debt markets."
Ashmore Investment Management研究负责人Jerome Booth，基于伦敦的新兴市场债务专家，“我们可以在一半[百分比] Point [Bid-Proppters]传播并大幅改变我们10亿美元的投资组合下午。“
可预见的是，避免阿根廷的基金经理比同龄人更好。“我们已经出去了两年了。阿根廷的问题很快，举行债务的任何人都应该受到理发，”蒙彼得尔公司和首席尼克法院人说。
当然，阿根廷债务重组将测试市场的成熟度。到目前为止，阿根廷的传染效应是适度的。如果他们仍然搁置，将加强资产类别。
Most fund managers express confidence that emerging-markets debt will pass this test. Several structural changes should limit contagion, they say. To begin with, most countries now have floating-exchange-rate regimes. In past crises speculative money moved from one fixed currency to the next, roiling global debt markets.
新兴市场的业主债务引用了近期部门投资者基地转变的看涨效果。对冲基金，欣赏轻松的利润，在20世纪90年代后期的新兴债务中曾成为大型球员。携带行业 - 例如，借用日元廉价地购买俄罗斯本地货币GKOS等高产债务资产 - 是市场的一个共同特征。
通常这些位置杠杆化。当俄罗斯债务价格下跌时，这些基金强迫卖方符合保证金呼叫，加剧了下行价格。当俄罗斯最终违反其当地货币债务时，许多对冲基金都缺乏业务。
波士顿MFS投资管理的产品MATThew Ryan MFS投资管理，负责在新兴市场债务中监督5亿美元的债务，说这些球员的大多数都没有回到现场。“阿根廷一直是如此明显的问题，即在对冲基金可能涉及的程度上，他们很短。俄罗斯抓住了很多人的守卫，结果是狂欢节。如果这些资金仍然在商业中，他们已经学会了他们的课。”
Advocates of emerging-markets debt point out that the central goal of the International Monetary Fund - to fight balance-of-payments crises - has not changed, nor have its policy prescriptions of higher interest rates, lower spending and higher taxes. This will continue to be a dangerous cocktail for equities and a tonic for bonds.
And despite the rhetoric of U.S. Treasury Secretary Paul O'Neill, who declared that the U.S. would no longer bail out debt investors, money managers remain dubious. "There will be bailouts and moral hazard so long as there is foreign policy," says Ashmore's Booth. "It's not within O'Neill's power to do anything about that. September 11 means that the State Department now has more power than ever. Turkey was bailed out because of foreign policy objectives, and Pakistan will get a debt deal for the same reason."
Not many markets have held up well since September 11, but emerging-markets debt has been one of them. If an Argentinean restructuring can be managed without roiling other emerging markets, the asset class will claim a greater credibility. Institutional investors that have long avoided the category might even take a second look.
由Andrew Capon.
2001年12月
亚博赞助欧冠机构投资者杂志
With Argentina poised on the brink of default, the value of its debt had plummeted 36 percent in 2001 through the end of October. Because the country accounts for a hefty 16 percent of the J.P. Morgan emerging-markets bond index plus, and because the risk of contagion constantly hovers over this sector, institutional investors that want exposure to emerging markets usually prefer equity to debt.
但这种情绪面对一些引人注目的事实。今年在10月底，新兴 - 市场股市下降了20.4％，而他们的债务同行仅次于0.5％ - 尽管阿根廷人的崩溃。差距也不是一次性现象。截至10月31日的十年，全体股权MSCI新兴 - 市场自由指数仅为1.1％，与盟友+的年度返回，一篮子主权和准君主（由国家担保支持）以外部货币发布的债务，通常是美元。即使在过去的五年中，债务超过了一段时间，债务表现优于，每年返回10.5％，与同期股权的总跌幅为67％。
一些资金正在通过余地击败平均线。五年多年来，新兴市场债务基金债务基金，由伦敦的精品蒙彼利尔资产管理运营，已发布16.5％的年度回报和年初增长率为15.7％。新兴 - 市场债券巨头巨型太平洋投资管理公司经营的债务基金今年增长了17.6％。
新兴市场债务的支持者认为，恐惧涉及众所周滞不可多少常;他们还认为，该行业与其他资产类别不相关。怀疑论者召回过去的危机 - 1994年 - 1995年的墨西哥比索危机，1997年的亚洲财经流感，1998年俄罗斯卢布的崩溃 - 并得出结论，在阿根廷或其他地方，几乎保证了新的脱裂。他们说，传染是可信，不断的威胁。
Thomas Cooper表示，拥有波士顿的Grantham，Mayo，Van Otterloo＆Co.的合伙人，他监督了该公司112.25亿美元的新兴市场债务：“在阿根廷债务重组后的蔓延[遵循债务]不会像1995年那样糟糕1998年，但对于市场和其他拉丁美洲学分来说，仍然是一个不好的消息，甚至有些人在东欧可能被击中。曾经有麻烦，市场一起举行。“
Certainly, emerging-markets debt barely registers a blip on the radar screen of institutional investors that buy emerging-markets equity. Even today, as pension funds in the U.S. and U.K. nurse losses on domestic equity portfolios and search for high-return, low-correlation asset classes, emerging-markets debt struggles to find a place in institutional portfolios. (The correlation of the J.P. Morgan EMBI+ with the MSCI Europe, Australasia and Far East index over ten years is -37 percent.)
Bob Collie, director of investment consulting at consulting firm Frank Russell Co. in London, reports that his firm does not consider emerging-markets debt to be a mainstream investment opportunity. "I would describe it as an exotic asset class for a small number of sophisticated pension funds," he says.
But when an emerging-markets crisis hits, argue the advocates of emerging-markets debt, it is much better to be a bondholder than a stockholder.
"The risks of holding equity and bonds are asymmetric in emerging markets," says Mohamed El-Erian, head of emerging-markets bond investment at Pimco. "A crisis usually takes the form of a balance of payments problem. The remedy is to increase interest rates and tax more or spend less. That makes the public sector very strong but impoverishes corporates."
Lincoln Rathnam推出了Smudder，Stevens＆Clark主权高产投资有限公司于1989年回到了第一个投资拉丁美洲债务的共同基金 - 衷心同意。现在，Rathnam表示，作为北康涅狄格州韦斯特波特的私募股市投资策略的私人股市投资战略负责人，“回到1989年，我告诉任何人会倾听债券的人比股票更好，因为他们是各国政府发布的合同义务。“rathnam认为，他们仍然是一个更好的赌注。
There are some technical explanations for the gap between the returns of emerging-markets debt and equity. The universes of countries included in emerging-markets equity and debt indexes, though overlapping, are significantly different. Emerging-markets equity indexes are skewed toward Asia and debt indexes toward Latin America. Debt indexes also include countries such as Bulgaria, Ecuador, Morocco, Nigeria, Panama and Qatar, where equity markets are small or nonexistent.
然而,即使是在股票市场确实存在,还债务tends to outperform. The Russian stock market, for example, is up 15.8 percent in dollars, but the Russian bonds in the EMBI+ are up 36.9 percent in dollars through October.
As a group, debt investors also enjoy more liquidity than their equity counterparts. Says Philip Poole, head of emerging-markets research at ING Barings: "Investors have been prepared to pay a premium for liquidity. Since the Russian default liquidity in equity markets has been reduced sharply. That hasn't been true for debt markets."
Ashmore Investment Management研究负责人Jerome Booth，基于伦敦的新兴市场债务专家，“我们可以在一半[百分比] Point [Bid-Proppters]传播并大幅改变我们10亿美元的投资组合下午。“
可预见的是，避免阿根廷的基金经理比同龄人更好。“我们已经出去了两年了。阿根廷的问题很快，举行债务的任何人都应该受到理发，”蒙彼得尔公司和首席尼克法院人说。
当然，阿根廷债务重组将测试市场的成熟度。到目前为止，阿根廷的传染效应是适度的。如果他们仍然搁置，将加强资产类别。
Most fund managers express confidence that emerging-markets debt will pass this test. Several structural changes should limit contagion, they say. To begin with, most countries now have floating-exchange-rate regimes. In past crises speculative money moved from one fixed currency to the next, roiling global debt markets.
新兴市场的业主债务引用了近期部门投资者基地转变的看涨效果。对冲基金，欣赏轻松的利润，在20世纪90年代后期的新兴债务中曾成为大型球员。携带行业 - 例如，借用日元廉价地购买俄罗斯本地货币GKOS等高产债务资产 - 是市场的一个共同特征。
通常这些位置杠杆化。当俄罗斯债务价格下跌时，这些基金强迫卖方符合保证金呼叫，加剧了下行价格。当俄罗斯最终违反其当地货币债务时，许多对冲基金都缺乏业务。
波士顿MFS投资管理的产品MATThew Ryan MFS投资管理，负责在新兴市场债务中监督5亿美元的债务，说这些球员的大多数都没有回到现场。“阿根廷一直是如此明显的问题，即在对冲基金可能涉及的程度上，他们很短。俄罗斯抓住了很多人的守卫，结果是狂欢节。如果这些资金仍然在商业中，他们已经学会了他们的课。”
Advocates of emerging-markets debt point out that the central goal of the International Monetary Fund - to fight balance-of-payments crises - has not changed, nor have its policy prescriptions of higher interest rates, lower spending and higher taxes. This will continue to be a dangerous cocktail for equities and a tonic for bonds.
And despite the rhetoric of U.S. Treasury Secretary Paul O'Neill, who declared that the U.S. would no longer bail out debt investors, money managers remain dubious. "There will be bailouts and moral hazard so long as there is foreign policy," says Ashmore's Booth. "It's not within O'Neill's power to do anything about that. September 11 means that the State Department now has more power than ever. Turkey was bailed out because of foreign policy objectives, and Pakistan will get a debt deal for the same reason."
Not many markets have held up well since September 11, but emerging-markets debt has been one of them. If an Argentinean restructuring can be managed without roiling other emerging markets, the asset class will claim a greater credibility. Institutional investors that have long avoided the category might even take a second look.